Kırılgan Beşli Ülkelerinde Faiz Oranı Paritesi: Kırılmalı Birim Kök Testlerinden Kanıtlar

Abstract

Bu çalışmada literatürde Kırılgan Beşli ülkeleri olarak gruplandırılan Brezilya, Hindistan, Endonezya, Güney Afrika ve Türkiye için kapsanmamış faiz oranı paritesinin geçerliliği araştırılmıştır. Çalışmanın ekonometrik analiz bölümünde son dönemlerde araştırmacılar tarafından yaygın olarak kullanılan birim kök testlerinden yararlanılmıştır. Bu noktada Dickey ve Fuller (1979), Genişletilmiş Dickey ve Fuller (1981), Philips ve Perron (1988), Kwiatkowski, Phillips, Schmidt ve Shin (1992), Perron (1989) tek kırılmalı birim kök, Zivot ve Andrews (1992) tek kırılmalı birim kök ve Enders ve Lee (2012) Fourier-ADF birim kök testleri kullanılmıştır. Analiz sonuçları doğrultusunda Brezilya, Endonezya ve Türkiye için kapsanmamış faiz oranı paritesinin geçerliliğine dair güçlü kanıtlar elde edilmiştir. Hindistan ilişkin sonuçlar yapısal kırılmanın dikkate alındığı durum ve dikkate alınan yapısal kırılmanın yapısına göre değişiklik göstermektedir. Bu durumda yapısal kırılmaların dikkate alınması ve veri setine ilişkin dönemin konjonktürel yapısının iyi bilinmesi konusunu gündeme getirmektedir. Güney Afrika’da ise sonuçlar çoğunlukla faiz oranı paritesinin geçerli olduğu yönünde olmasına rağmen, yumuşak kırılmalara izin veren Fourier-ADF testine ilişkin sonuçlar bu ülkelerde faiz oranı paritesinin geçersiz olduğuna dair kanıtlar sunmuştur.

Keywords

• Faiz oranı paritesi
• Kırılgan Beşli Ülkeleri
• Birim kök testleri
• Finansal entegrasyon
• Gelişmekte olan piyasa ülkeleri

The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks

Abstract

This study analyzes the validity of the uncovered interest rate parity for Brazil, India, Indonesia, South Africa, and Turkey, which are grouped as The Fragile Five countries within the literature. The econometric analysis section of the study benefits from unit root tests, a common method that researchers have started to utilize recently. For this reason, we used Dickey and Fuller (1979), Augmented Dickey and Fuller (1981), Philips and Perron (1988), Kwiatkowski et al. (1992), Perron (1989) unit root test with one break, Zivot and Andrews (1992) unit root test with one break, and Enders and Lee (2012) Fourier-ADF unit root tests. In line with the results of the analysis, we obtained strong evidence regarding the validity of the uncovered interest rate parity for Brazil, Indonesia, and Turkey. Results for India vary according to the structure of the break and where the structural break is taken into consideration. This shows that structural breaks and the economic circumstances of the period that the data set is from should be considered. Although results for South Africa show that interest rate parity is generally valid, results for the Fourier-ADF test, which allows for smooth breaks, offered evidence that the interest rate parity was not valid in these countries.

Keywords

• Interest rate parity
• The Fragile Five Countries
• Unit root tests
• Financial integration
• Emerging market countries

References

1. Adrangi, B., Raffiee, K., & Shank, T. M. (2007). An ex-post investigation of interest rate parity in Asian emerging markets. International Business & Economics Research Journal (IBER), 6(2), 29-48. https://doi.org/10.19030/ iber.v6i2.3342. google scholar
2. Aslan, Ö., & Korap, H. L. (2010). Does the uncovered interest parity hold in short horizons?. Applied Economics Letters, 17(4), 361-365. 10.1080/13504850701735781. google scholar
3. Baharumshah, A. Z., Haw, C. T., & Fountas, S. (2005). A panel study on real interest rate parity in East Asian countries: Pre-and post-liberalization era. Global Finance Journal, 16(1), 69-85. https://doi.org/10.1016/j. gfj.2005.05.005. google scholar
4. Baharumshah, A. Z., Haw, C. T., Masih, A. M. M., & Lau, E. (2011). Financial integration of East Asian economies: evidence from real interest parity. Applied Economics, 43(16), 1979-1990. https://doi. org/10.1080/00036840902902243. google scholar
5. Baharumshah, A. Z., Liew, V. K. S., & Hamzah, N. A. (2008). Real interest rate parity in the ASEAN-5 countries: A nonlinear perspective. Applied Economics Letters, 15(12), 955-958. https://doi. org/10.1080/13504850600949152. google scholar
6. Baharumshah, A. Z., Liew, V. K. S., & Haw, C. T. (2009). The real interest rate differential: international evidence based on non-linear unit root tests. Bulletin of Economic Research, 61 (1), 83-94. https://doi. org/10.1111/j.1467-8586.2008.00288.x. google scholar
7. Balke, N. S., & Wohar, M. E. (1998). Nonlinear dynamics and covered interest rate parity. Empirical Economics, 23(4), 535-559. 10.1007/BF01205993 google scholar
8. Batten, J. A., & Szilagyi, P. G. (2010). Is covered interest parity arbitrage extinct? Evidence from the spot USD/ Yen. Applied Economics Letters, 17(3), 283-287. https://doi.org/10.1080/13504850701720189. google scholar

9. BBC, https://www.bbc.com/english/news/2013/06/130621_india_flood, Access Date: January 8, 2020. google scholar
10. Bekaert, G., Wei, M., & Xing, Y. (2007). Uncovered interest rate parity and the term structure. Journal of International Money and Finance, 26(6), 1038-1069. https://doi.org/10.1016/j.jimonfin.2007.05.004. google scholar
11. Berument, H., & Günay, A. (2003). Exchange rate risk and interest rate: a case study for Turkey. Open economies review, 14(1), 19-27. doi:10.1023/A:1021243101272 google scholar
12. Bhatt, V., & Virmani, A. (2005). Global integration of India’s Money Market: Interest rate parity in India (No. 164). Working Paper. google scholar
13. Bhatti, R. H. (2014). The existence of uncovered interest parity in the CIS countries. Economic Modelling, 40, 227-241.https://doi.org/10.1016/j.econmod.2014.04.002. google scholar
14. Büberkökü, Ö. (2020). Bazı Gelişen Piyasa Ekonomilerinde Garantisiz (Uncovered) Faiz Oranı Paritesinin Geçerliliğinin İncelenmesi. Maliye Dergisi 177, 160-176. google scholar
15. Chang, H. L., & Su, C. W. (2015). Uncovered interest parity and monetary integration in East Asian countries based on China. The Journal of International Trade & Economic Development, 24(4), 451-464. https://doi.org/10.10 80/09638199.2014.920402. google scholar
16. Chin, C. C., & Liang, H. M. (2009). The long-run uncovered interest rate parity in view of a trading strategy. Applied Economics, 41(21), 2727-2739. https://doi.org/10.1080/00036840701320225. google scholar
17. Claassen, E-M. (1996). Global Monetary Economics. Oxford University Press: New York. google scholar
18. Coleman, A. (2012). Uncovering uncovered interest parity during the classical gold Standard era, 1888-1905. The North American Journal of Economics and Finance, 23(1), 20-37. https://doi.org/10.1016/j.najef.2011.10.001. google scholar
19. Committeri, M., Rossi, S., & Santorelli, A. (1993). Tests of covered interest parity on the Euromarket with high-quality data. Applied Financial Economics, 3(1), 89-93. https://doi.org/10.1080/758527822. google scholar
20. Davis, E. P. (1987). A stock-flow consistent macro-econometric model of the UK economy—part I. Journal of Applied Econometrics, 2(2), 111-132. https://doi.org/10.1002/jae.3950020204 google scholar
21. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association 74 (366a), 427-431. https://doi.org/10.1080/01621459.1979.10 482531. google scholar
22. Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: journal of the Econometric Society, 1057-1072. 10.2307/1912517. google scholar
23. Einzig, P. 1937. The Theory ofForward Exchange. Macmillan, London. google scholar
24. Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford bulletin ofEconomics and Statistics, 74(4), 574-599. https://doi.org/10.1111/j.1468-0084.2011.00662.x. google scholar
25. Erdemlioğlu, D. M. (2007). A new test of uncovered interest rate parity: evidence from Turkey. MPRA, Paper No: 10787: 1-20. google scholar
26. Feenstra, R. C., & Taylor, A. M. (2012). International Macroeconomics, 2nd edition, Worth Publishers. google scholar
27. Ferreira, A. L., & Leon-Ledesma, M. A. (2007). Does the real interest parity hypothesis hold? Evidence for developed and emerging markets. Journal of International Money and Finance, 26(3), 364-382. https://doi. org/10.1016/j.jimonfin.2006.11.003. google scholar
28. Fong, W. M., Valente, G., & Fung, J. K. (2010). Covered interest arbitrage profits: The role of liquidity and credit risk. Journal of banking & finance, 34(5), 1098-1107. https://doi.org/10.1016/j.jbankfin.2009.11.008. google scholar
29. Francis, B. B., Hasan, I., & Hunter, D. M. (2002). Emerging market liberalization and the impact on uncovered interest rate parity. Journal of International Money and Finance, 21(6), 931-956. https://doi.org/10.1016/ S0261-5606(02)00029-3. google scholar
30. Fukuda, S. I. (2016). Regional liquidity risk and covered interest parity during the global financial crisis: evidence from Tokyo, London, and New York. International Economic Journal, 30(3), 339-359. https://doi.org/10.1080/ 10168737.2016.1211842. google scholar
31. Glahe, F. R. (1967). An empirical study of the foreign-exchange market: test of a theory (No. 20). International Finance Section, Department of Economics, Princeton University. google scholar
32. Goh, S. K., Lim, G. C., & Olekalns, N. (2006). Deviations from uncovered interest parity in Malaysia. Applied Financial Economics, 16(10), 745-759. https://doi.org/10.1080/09603100500404231. google scholar
33. Goodwin, B. K., & Grennes, T. J. (1994). Real interest rate equalization and the integration of international financial markets. Journal of International Money and Finance, 13(1), 107-124. https://doi.org/10.1016/0261-5606(94)90027-2. google scholar
34. Guender, A., & Cook, B. (2011). Monetary policy implementation and uncovered interest parity: empirical evidence from Oceania. New Zealand Economic Papers, 45(3), 209-229. https://doi.org/10.1080/00779954.2011.57164 3. google scholar
35. Hayaloğlu, P. (2015). Kırılgan beşli ülkelerinde finansal gelişme ve ekonomik büyüme ilişkisi: Dinamik panel veri analizi. Ekonomik ve Sosyal Araştırmalar Dergisi, 11(1), 131-144. google scholar
36. Holmes, M. J., & Maghrebi, N. (2004). Asian real interest rates, nonlinear dynamics, and international parity. International Review of Economics & Finance, 13(4), 387-405. https://doi.org/10.1016/j. iref.2003.06.001. google scholar
37. Husted, S., & M. Melvin. (2013). International Econometrics. 9th Ed., New Jersey: Pearson Education. google scholar
38. IMF, https://data.imf.org/regular.aspx?key=61545867, Access Date: January 8, 2020. google scholar
39. IMF, https://data.oecd.org/price/inflation-cpi.htm, Access Date: January 8, 2020. google scholar
40. Ito, T. (1988). Use of (time-domain) vector autoregressions to test uncovered interest parity. The review of Economics and Statistics, 296-305. 10.2307/1928314. google scholar
41. Jiang, C., Li, X. L., Chang, H. L., & Su, C. W. (2013). Uncovered interest parity and risk premium convergence in Central and Eastern European countries. Economic Modelling, 33, 204-208. https://doi.org/10.1016/j. econmod.2013.04.025. google scholar
42. Jorion, P. (1996). Does real interest parity hold at longer maturities?. Journal of International Economics, 40(1-2), 105-126. https://doi.org/10.1016/0022-1996(95)01384-9. google scholar
43. Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of econometrics, 112(2), 359-379. https://doi.org/10.1016/S0304-4076(02)00202-6. google scholar
44. Karahan, Ö., & Çolak, O. (2012). Does uncovered interest rate parity hold in Turkey?. International Journal of Economics and Financial Issues 2(4):386-394. google scholar
45. Keynes, J. M. (1923). A Tract on Monetary Reform. MacMillan and St. Martin’s Press for The Royal Economic Society, London. google scholar
46. Kim, H., & Cho, J. (2011). A test of the revised interest parity in China and Asian emerging markets. Emerging markets finance and trade, 47(sup4), 23-41. https://doi.org/10.2753/REE1540-496X4705S402. google scholar
47. Krugman, P. R., & Obstfeld, M. (2003). International economics: theory and policy. US: Pearson Education. google scholar
48. Krugman, P. R., and Obstfeld, M. (2009). International Economics: Theory and Policy. 8th Ed., Boston: Pearson Education. google scholar
49. Kugler, P., & Neusser, K. (1993). International real interest rate equalization. A multivariate time-series approach. Journal of Applied Econometrics, 8(2), 163-174. https://doi.org/10.1002/jae.3950080205. google scholar
50. Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?. Journal of econometrics, 54(1-3), 159-178. google scholar
51. Lee, H. Y., & Wu, J. L. (2004). Convergence of interest rates around the Pacific Rim. Applied Economics, 36(12), 1281-1288. https://doi.org/10.1080/0003684042000238929. google scholar
52. Libanio, G. A. (2005). Unit roots in macroeconomic time series: theory, implications, and evidence. Nova Economia, 15(3), 145-176. https://doi.org/10.1590/S0103-63512005000300006. google scholar
53. Lily, J., Kogid, M., Abd Karim, M. R., Asid, R., & Mulok, D. (2011). Empirical testing on uncovered interest rate parity in Malaysia. Journal of Applied Finance and Banking, 1(2), 95. google scholar
54. Lily, J., Kogid, M., Mulok, D., & Asid, R. (2012). Revisiting Uncovered Interest Rate Parity: An Empirical Testing Using Bounds Test Approach. Procedia Economics and Finance, 2, 45-52. https://doi.org/10.1016/S2212-5671(12)00063-9. google scholar
55. Lothian, J. R. (2016). Uncovered interest parity: The long and the short of it. Journal of Empirical Finance, 36, 1-7. https://doi.org/10.1016/j.jempfin.2015.12.001. google scholar
56. Lothian, J. R., & Wu, L. (2011). Uncovered interest-rate parity over the past two centuries. Journal of International Money and Finance, 30(3), 448-473. https://doi.org/10.1016/j.jimonfin.2011.01.005. google scholar
57. McAVINCHEY, I. D., & MacDONALD, R. (1990). Some specification tests of uncovered interest parity. Recherches Economiques de Louvain/Louvain Economic Review, 61-78. google scholar
58. Melvin, M., & Norrbin, S. C. (2013). International Money and Finance. 8th Ed., Oxford: Elsevier. google scholar
59. Mishkin, F. S. (1984). Are real interest rates equal across countries? An empirical investigation of international parity conditions. The Journal of Finance, 39(5), 1345-1357. https://doi.org/10.1111/j.1540-6261.1984. tb04911.x. google scholar
60. Moosa, I. A. (1996). An empirical investigation into the causes of deviations from covered interest parity across the Tasman. New Zealand Economic Papers, 30(1), 39-54. https://doi.org/10.1080/00779959609544248. google scholar
61. MSCI, https://www.msci.com/market-classification, Access Date: January 8, 2020. google scholar
62. Mylonidis, N., & Semertzidou, M. (2010). Uncovered interest parity puzzle: does it really exist?. Applied Economics Letters, 17(10), 1023-1026. https://doi.org/10.1080/00036840902762696. google scholar
63. Pasricha, G. K. (2006). Survey of literature on covered and uncovered interest parities. MPRA Paper No. 22737. https://mpra.ub.uni-muenchen.de/22737/. google scholar
64. Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: journal of the Econometric Society, 1361-1401. 10.2307/1913712. google scholar
65. Phillips, P. C. B., & P. Perron (1988). Testing for a Unit Root in Time Series Regression. Biometrika 75(2), 335346. https://doi.org/10.1093/biomet/75.2.335 google scholar
66. Pipatchaipoom, O., & Norrbin, S. C. (2010). Is the real interest rate parity condition affected by the method of calculating real interest rates?. Applied Economics, 42(14), 1771-1782. https://doi. org/10.1080/00036840701736073. google scholar
67. Rowland, P. (2003). Uncovered interest parity and the USD/COP exchange rate. Borradores de Econom^a; No. 227. https://doi.org/10.32468/be.227. google scholar
68. Sachsida, A., Ellery Jr, R., & Teixeira, J. R. (2001). Uncovered interest parity and the peso problem: the Brazilian case. Applied Economics Letters, 8(3), 179-181. https://doi.org/10.1080/13504850150504559. google scholar
69. Sharpe, I.G. (1984). Covered Interest Rate Parity: The Australian Case. Applied Economics 16 (5), 655-665. https:// doi.org/10.1080/00036848400000016. google scholar
70. Skinner, F. S., & Mason, A. (2011). Covered interest rate parity in emerging markets. International Review of Financial Analysis, 20(5), 355-363. https://doi.org/10.1016/j.irfa.2011.06.008. google scholar
71. Stanley, M. (2013). FX Pulse. New York: Morgan Stanley. google scholar
72. Stein, J. L. (1962). The nature and efficiency of the foreign exchange market (No. 40-45). International Finance Section, Dept. of Economics, Princeton University. google scholar
73. Suh, S., & Kim, Y. J. (2016). Covered interest parity and arbitrage paradox in emerging markets: Evidence from the Korean market. Pacific-Basin Finance Journal, 38, 161-176. https://doi.org/10.1016/j.pacfin.2016.04.003. google scholar
74. Taylor, M. P. (1987a). Covered interest parity: a high-frequency, high-quality data study. Economica, 429-438. 10.2307/2554178. google scholar
75. Taylor, M. P. (1987b). Risk premia and foreign exchange: a multiple time series approach to testing uncovered interest-rate parity. Weltwirtschaftliches archiv, 123(4), 579-591. 10.1007/BF02708567. google scholar
76. Taylor, M. P. (1989). Vector autogressive tests of uncovered interest rate parity with allowance for conditional heteroscedasticity. Scottish Journal of Political Economy, 36(3), 238-252. https://doi. org/10.1111/j.1467-9485.1989.tb01090.x. google scholar
77. Tse, Y., & Wald, J. K. (2013). Insured uncovered interest parity. Finance Research Letters, 10(4), 175-183. https:// doi.org/10.1016/j.frl.2013.06.004. google scholar
78. Yıldırım, Y. (2020). Lula da Silva’dan Bolsonaro’ya Brezilya’da Siyasal Dönüşüm. Mülkiye Dergisi, 44(3), 515542. google scholar
79. Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of business & economic statistics, 20(1), 25-44. https://doi. org/10.1198/073500102753410372. google scholar